I read a report on milk vs whey about 6 months ago. It was an independent study that took 120 men in their 20's of moderate fitness. Muscle mass, body fat and fitness levels were measured at the beginning of the study. Half of the group ingested just whey protein post work out while the other half drank 2% milk. Both groups ingested the same ratio grams of protein by body weight. Both groups had the exact same work out regimen. After one year they found the group that had consumed the milk were fitter with avg 12% less body fat and avg 20% more muscle mass. They hypothesized that since whey is predigested it passes directly into the system. Good for the short term as amino acids in the blood spike then fall quickly. But when milk was consumed the amino acids in the blood rose and stayed there longer and being available to the damaged tissue over a longer period resulting in more efficient repair.
I tried to find that article but I had already tossed the magazine. It went into greater detail then what I could remember here.

A pro-biotic containing acidophilus should help with digestion if having problem digesting milk.

Personally, I usually have a protein shake using 1% milk with Muscle milk protein powder blended with some fruit. But that not always being possible I'll ingest whatever type of protein I can get my hands on at the time. With soy being avoided as much as possible.